COVID-19 and the United States financial markets’ volatility

Claudiu Albulescu ()

Finance Research Letters, 2021, vol. 38, issue C

Abstract: We empirically investigate the effect of the official announcements regarding the COVID-19 new cases of infection and fatality ratio, on the financial markets volatility in the United States (US). We consider both COVID-19 global and US figures and show that the sanitary crisis enhances the S&P 500 realized volatility. Our findings are robust to different model specifications and suggest that the prolongation of the coronavirus pandemic is an important source of financial volatility, challenging the risk management activity.

Keywords: COVID-19; Coronavirus pandemic; US financial market volatility; Realized volatility; Announcement effect (search for similar items in EconPapers)
JEL-codes: G01 G15 G41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (112)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320303202

DOI: 10.1016/j.frl.2020.101699

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